What sort of files are they, and which player are you using to play them? Only the QuickTime player and still image viewer supports rotation. Also, you may need to move off the clip and back on to it before the media tab is updated.

Is this on Mac or Windows? You see a blue Q when you play the clip? Are you using the media panel (the tab which says Movie or Preview) or the media dialog ("Play" button in the toolbar). Try opening the media dialog and pressing the [ or ] keys.